Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0345 |
| Annualized Std Dev | 0.3701 |
| Annualized Sharpe (Rf=0%) | -0.0932 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3288.0000 |
| NAs | 1.0000 |
| Minimum | -0.2235 |
| Quartile 1 | -0.0113 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0122 |
| Maximum | 0.1966 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0007 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0005 |
| Stdev | 0.0233 |
| Skewness | -0.3976 |
| Kurtosis | 10.2527 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0169 |
| Gain Deviation | 0.0159 |
| Loss Deviation | 0.0177 |
| Downside Deviation (MAR=210%) | 0.0214 |
| Downside Deviation (Rf=0%) | 0.0169 |
| Downside Deviation (0%) | 0.0169 |
| Maximum Drawdown | 0.8659 |
| Historical VaR (95%) | -0.0355 |
| Historical ES (95%) | -0.0550 |
| Modified VaR (95%) | -0.0359 |
| Modified ES (95%) | -0.0669 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-07-03 | 2020-03-24 | NA | -0.8659 | 3201 | 2951 | NA |
| 2008-03-13 | 2008-03-17 | 2008-04-02 | -0.0795 | 14 | 3 | 11 |
| 2008-05-22 | 2008-06-04 | 2008-06-06 | -0.0643 | 11 | 9 | 2 |
| 2008-06-09 | 2008-06-10 | 2008-07-02 | -0.0567 | 18 | 2 | 16 |
| 2008-04-28 | 2008-05-01 | 2008-05-05 | -0.0562 | 6 | 4 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | -0.4 | 0.7 | -2.1 | 0.6 | 0 | 0.8 | 0 | -4 | 4.1 | -3.8 | 8.8 | 4.2 |
| 2009 | 1.4 | -1.3 | -2.4 | 3.6 | 1.8 | -2.4 | 3.1 | -1.5 | 0.5 | -3.4 | 1.1 | 0.2 | 0.3 |
| 2010 | 1.7 | -1.4 | 1.8 | 1.4 | -2.3 | -3.1 | 1.1 | 1.7 | 3 | 1.1 | 4.5 | 2.3 | 12.1 |
| 2011 | 0.7 | 3.6 | 1.7 | 1 | -1.9 | 0.4 | 0.1 | 0.6 | -1.5 | 0.1 | 0.1 | -0.5 | 4.6 |
| 2012 | -0.4 | 2.8 | -0.5 | -0.6 | -2.4 | 6.1 | 2.2 | 2.1 | 0.1 | 0.3 | 0.2 | 0.2 | 10.5 |
| 2013 | 0.5 | 1.1 | -0.6 | -2.4 | -2.1 | 1.2 | 0.9 | -0.6 | -0.6 | -1.5 | -0.8 | 0 | -4.9 |
| 2014 | -1.6 | 0.6 | -1.8 | -1 | -0.7 | -0.3 | -1.7 | 1.1 | 0.1 | -0.2 | 1.6 | 1.5 | -2.7 |
| 2015 | 4.7 | 3 | 3.2 | 0 | -0.5 | -1.7 | 0.1 | -6.2 | 0.2 | 2 | 3.1 | 1.5 | 9.3 |
| 2016 | -4.6 | -1.2 | -2.6 | -0.2 | 1.4 | 1.3 | -0.4 | -4.5 | 0.8 | 4.5 | 4.5 | -0.3 | -1.6 |
| 2017 | 1.9 | -3.4 | 1 | -1 | 0.1 | 2.6 | -0.7 | -1.3 | -2.3 | 0.8 | 0.2 | -0.5 | -2.6 |
| 2018 | 0.3 | -1.5 | 0 | -1.8 | -1.1 | 1.8 | -1.8 | -0.6 | 2.1 | -1.6 | -1.8 | 1.4 | -4.7 |
| 2019 | 3.1 | -1.4 | 1.2 | -0.3 | -5 | 2.2 | -4.7 | -3.1 | 0.3 | 3.7 | -4.5 | -1.9 | -10.3 |
| 2020 | -1.9 | -1.5 | -5.2 | -0.9 | 0.2 | 0.8 | -1.5 | 0.5 | -2 | 0.1 | -1.5 | 1 | -11.6 |
| 2021 | 2.3 | -0.5 | 1.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-02-27 49.3 SPY 138. -0.001 0.0169 0.022 -0.0194 -0.0092 0.150 0.636 GLD 94.8 0.0114 0.0165
2 2008-02-28 49.8 SPY 137. -0.0098 0.0154 0.0071 -0.04 -0.0288 0.127 0.644 GLD 96.0 0.0128 0.0294
3 2008-02-29 49.6 SPY 134. -0.0223 -0.0133 -0.0081 -0.0905 -0.0476 0.109 0.587 GLD 96.2 0.002 0.0299
4 2008-03-03 49.8 SPY 134. -0.00240 -0.0279 -0.0282 -0.0929 -0.0373 0.101 0.572 GLD 97.2 0.011 0.0485
5 2008-03-04 47.4 SPY 133. -0.0038 -0.0388 -0.0472 -0.105 -0.0317 0.0975 0.582 GLD 95.2 -0.0212 0.0157
6 2008-03-05 49.0 SPY 134. 0.0063 -0.0318 -0.029 -0.0938 -0.042 0.104 0.617 GLD 97.7 0.0267 0.031
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
